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Standardized Innovations
stdInnov.Rd
Standardizes Kalman filter innovations. This is a helper function called by MARSSinnovationsboot()
in the MARSS-package
. Not exported.
References
Stoffer, D. S., and K. D. Wall. 1991. Bootstrapping state-space models: Gaussian maximum likelihood estimation and the Kalman filter. Journal of the American Statistical Association 86:1024-1033.
See also
MARSSboot()
, MARSSkf()
, MARSSinnovationsboot()